Reference manual - version qle_version
Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure. More...
#include <qle/termstructures/dynamiccpivolatilitystructure.hpp>
Inheritance diagram for DynamicCPIVolatilitySurface:Public Member Functions | |
| DynamicCPIVolatilitySurface (const boost::shared_ptr< CPIVolatilitySurface > &source, ReactionToTimeDecay decayMode=ConstantVariance) | |
| Public Member Functions inherited from CPIVolatilitySurface | |
| CPIVolatilitySurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, bool indexIsInterpolated, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, double displacement=0.0) | |
| QuantLib::Date | optionDateFromTenor (const QuantLib::Period &tenor) const override |
| Computes the expiry date from the capFloorStartDate() | |
| QuantLib::Date | baseDate () const override |
| base date will be in the past | |
| QuantLib::VolatilityType | volatilityType () const |
| Returns the volatility type. | |
| double | displacement () const |
| Returns the displacement for lognormal volatilities. | |
| bool | isLogNormal () const |
| QuantLib::Volatility | volatility (const QuantLib::Date &maturityDate, QuantLib::Rate strike, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days), bool extrapolate=false) const override |
| virtual QuantLib::Real | atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const =0 |
| QuantLib::Date | capFloorStartDate () const |
Protected Member Functions | |
CPIVolatilitySurface interface | |
| Volatility | volatilityImpl (Time length, Rate strike) const override |
VolatilityTermStructure interface | |
| Rate | minStrike () const override |
| Rate | maxStrike () const override |
| Date | maxDate () const override |
| Protected Member Functions inherited from CPIVolatilitySurface | |
| virtual double | fixingTime (const QuantLib::Date &maturityDate) const |
| Computes the expiry time from the capFloorStartDate() | |
Observer interface | |
| void | update () override |
Additional Inherited Members | |
| Protected Attributes inherited from CPIVolatilitySurface | |
| QuantLib::VolatilityType | volType_ |
| double | displacement_ |
Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure.
Different ways of reacting to time decay can be specified.
